Scaling out using multiple strategies
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I was playing with a strategy that seemed to work quite well with scaling out of position but IG do not allow us to auto trade and partially close positions so I got to thinking of how we could do it. I came up with the following code idea.
In this example we would run six strategies – at the same time each would open just one position . Then each would close its position at a different take profit level. In this example at any profit over 0%, 1%, 2%, 3%, 4% and 5%. Each strategy would know by counting the variable ‘om’ (onmarket) whether other strategies still have an open position. We also have a condition based exit that closes all positions and an emergency exit if there is a big market drop.
We need to rem out the sell orders in each strategy to leave just one sell order and so create six strategies with exits at different levels.
This is an example for a long only strategy and it can also only sell at the bar closing price – however we could get out very close to each % level if we use MTF to trade on a faster time frame which would make it pretty similar to if we were selling at limit orders.
I thought I would post the idea here just in case it is of any use to anyone.
The strategy below is set up to exit at 2% profit. Obviously it is not a complete strategy – add your own entry and exit conditions.
1234567891011121314151617181920212223242526272829303132333435363738394041424344454647484950515253545556575859606162defparam cumulateorders = falseif (your long entry condition) and om = 0 thenbuy 1 contract at marketpp = close //stored position price of our 1 positionom = 6endif//store more accurate position price after first bar on marketif positionprice <> positionprice[1] thenpp = positionpriceendif//exit all trades if exit condition trueif (your short exit condition) thensell at marketom = 0 //not on marketendif//exit with any profit strategyif om = 6 and close > pp * 1.0 then//sell 1 contract at marketom = om-1 //one position closedendif//exit with 1% profit strategyif om = 5 and close > pp * 1.01 then//sell 1 contract at marketom = om-1 //one position closedendif//exit with 2% profit strategyif om = 4 and close > pp * 1.02 thensell 1 contract at marketom = om-1 //one position closedendif//exit with 3% profit strategyif om = 3 and close > pp * 1.03 then//sell 1 contract at marketom = om-1 //one position closedendif//exit with 4% profit strategyif om = 2 and close > pp * 1.04 then//sell 1 contract at marketom = om-1 //one position closedendif//exit with 5% profit strategyif om = 1 and close > pp * 1.05 then//sell 1 contract at marketom = om-1 //one position closedendif//Emergency exit at 10% drop from position priceif om <> 0 and close < pp * 0.90 thensell at marketom = 0 //not on marketendifgraph om8 users thanked author for this post.
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